Higher Moments in Postmodern Portfolio Asset Allocation

• 발행기관: 한국시뮬레이션학회
• 저자명: Gunhee Lee Ian Sutherland Woohyung Lee
• 간행물 정보: 『한국시뮬레이션학회 학술대회집』2017년 춘계학술대회 발표집, 4045~4049쪽, 전체 5쪽
• 주제분류: 공학 > 기타공학
• 파일형태: PDF
• 발행일자: 2017.04.26

영문 초록

While modern portfolio theory (MPT) uses standard deviation as the measure of risk;PostModern Portfolio Theory (PMPT) develops the idea of risk further to only include that of downside-risk. Intuitively this makes sense;because investors are more worried about negative returns;and therefore;the deviation in negative returns is more important to investors. Since returns have been shown historically to not follow the normal distribution;with fatter tails and higher downside risk;the extension of the meanvariance model to incorporate mixed higher moments (i.e. coskewness and cokurtosis) in the allocation of assets has allowed investors to investigate downside risk of assets;particularly for assets that have a larger departure from normality. To evaluate negative risk;mixed higher moments (i.e. coskewness and cokurtosis) are used to optimize asset allocation. The optimization of asset allocation using higher moments is a complex problem which can be solved fairly easily through optimization software or algorithms. We use Quadratic Programming (QP) through R Optimization Infrastructure (ROI) to solve for the quadratic optimization of incorporating four moments into a asset allocation for a portfolio. Adding to the evidence of other studies;our results show that the optimization using higher moments results in drastically different weights for assets;particularly in a manner that minimizes risk. We compare the results between several optimization methods using lower and higher moments.

목차

Modern Portfolio Theory

The Case for Post Modern Portfolio Theory

Post Modern Portfolio Theory Model

Conclusion

키워드

Post-Modern Portfolio Theory Mixed Higher Moments Quadratic Programming